6 papers
Credit Spreads' Term Structure: Stochastic Modeling with CIR++ Intensity
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
This paper introduces a novel stochastic model for credit spreads. The stochastic approach leverages the diffusion of default intensities via a CIR++ model and is formulated within…
Ergodicity and Law-of-large numbers for the Volterra Cox-Ingersoll-Ross process
Mohamed Ben Alaya, Martin Friesen, Jonas Kremer
We study the Volterra Volterra Cox-Ingersoll-Ross process on and its stationary version. Based on a fine asymptotic analysis of the corresponding Volterra Riccati eq…
Asymptotic properties and drift parameter estimations of the ergodic double Heston model based on continuous-time observations
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
The double Heston model is one of the most popular option pricing models in financial theory. It is applied to several issues such that risk management and volatility surface calib…
Deep Calibration of Interest Rates Model
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
For any financial institution, it is essential to understand the behavior of interest rates. Despite the growing use of Deep Learning, for many reasons (expertise, ease of use, etc…
Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
Mohamed Ben Alaya, Ahmed Kebaier, Djibril Sarr
This research presents a comprehensive framework for transitioning financial diffusion models from the risk-neutral (RN) measure to the real-world (RW) measure, leveraging results…
On Conditional least squares estimation for the AD(1,n) model
Mohamed Ben Alaya, Houssem Dahbi, Hamdi Fathallah
This paper deals with the problem of global parameter estimation of AD(1, n) where n is a positive integer which is a subclass of affine diffusions introduced by Duffie, Filipovic,…